Christian Gouriéroux

Christian Gouriéroux's AcademicInfluence.com Rankings

Economics

#1493

World Rank

#1722

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Economics

Christian Gouriéroux's Degrees

PhD Economics Université de Montréal

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According to Wikipedia, Christian Gouriéroux is an econometrician who holds a Doctor of Philosophy in mathematics from the University of Rouen. He has the Professor exceptional level title from France. Gouriéroux is now a professor at University of Toronto and CREST, Paris [Center for Research in Economics and Statistics].

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Christian Gouriéroux's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY (1984) (1267)
Simulation-based econometric methods (1996) (1177)
Pseudo Maximum Likelihood Methods: Applications to Poisson Models (1984) (1018)
ARCH Models and Financial Applications (1997) (598)
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters (1982) (476)
Statistics and econometric models (1995) (419)
Sensitivity Analysis of Values at Risk (2000) (397)
Non-Gaussian State-Space Modeling of Nonstationary Time Series (2008) (350)
The Wishart Autoregressive Process of Multivariate Stochastic Volatility (2009) (302)
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment (2001) (268)
Econometrics of Qualitative Dependent Variables (2000) (230)
Simulation-based inference: A survey with special reference to panel data models (1993) (220)
Mean‐Variance Hedging and Numéraire (1998) (193)
Qualitative threshold arch models (1992) (176)
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes (1979) (161)
Stochastic volatility duration models (2004) (156)
Financial Econometrics: Problems, Models, and Methods (2001) (155)
Continuous Time Wishart Process for Stochastic Risk (2006) (149)
Intra-day market activity (1999) (149)
Indirect Inference for Dynamic Panel Models (2006) (143)
Calibrarion By Simulation for Small Sample Bias Correction (1996) (130)
Learning procedure and convergence to rationality (1986) (124)
Memory and infrequent breaks (2001) (124)
Simulation Based Inference in Models with Heterogeneity (1990) (115)
Time Series And Dynamic Models (1996) (114)
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions (1982) (114)
Structural Laplace Transform and Compound Autoregressive Models (2006) (112)
Dynamic quantile models (2008) (106)
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates (2015) (102)
Managing hedonic housing price indexes: The French experience (2009) (97)
Derivative Pricing With Wishart Multivariate Stochastic Volatility (2010) (94)
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models (2017) (90)
Efficient Derivative Pricing by the Extended Method of Moments (2009) (90)
Wishart Quadratic Term Structure Models (2003) (89)
On the Problem of Missing Data in Linear Models (1981) (86)
Autoregressive Gamma Processes (2005) (84)
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models (1981) (83)
The Ordered Qualitative Model for Credit Rating Transitions (2003) (82)
Heterogeneous INAR(1) model with application to car insurance (2004) (80)
DISEQUILIBRIUM ECONOMETRICS IN SIMULTANEOUS EQUATIONS SYSTEMS (1980) (78)
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk (2004) (77)
Testing nested or non-nested hypotheses (1983) (76)
A General Approach to Serial Correlation (1985) (73)
Econometric specification of stochastic discount factor models (2007) (72)
Rank tests for unit roots (1997) (69)
Chapter 44 Testing non-nested hypotheses (1994) (68)
Bilateral Exposures and Systemic Solvency Risk (2012) (67)
Stochastic Migration Models with Application to Corporate Risk (2004) (65)
Affine Models for Credit Risk Analysis (2006) (64)
Multivariate Jacobi process with application to smooth transitions (2006) (61)
Local explosion modelling by non‐causal process (2017) (60)
Evidence of Adverse Selection in Automobile Insurance Markets (1998) (56)
Testing, Encompassing, and Simulating Dynamic Econometric Models (1995) (56)
Solutions of Linear Rational Expectations Models (1985) (50)
Filtering, Prediction and Simulation Methods for Noncausal Processes (2016) (49)
Kullback Causality Measures (1987) (49)
A General Framework for Testing a Null Hypothesis in a “Mixed” Form (1989) (48)
L-Performance with an Application to Hedge Funds (2008) (45)
Market Time and Asset Price Movements: Theory and Estimation (1995) (42)
A count data model with unobserved heterogeneity (1997) (39)
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters (1981) (39)
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets (1995) (39)
Kernel-based nonlinear canonical analysis and time reversibility (2004) (38)
Migration Correlation: Definition and Efficient Estimation (2005) (35)
ESTIMATION-ADJUSTED VAR (2013) (35)
Sufficient Linear Structures: Econometric Applications (1980) (34)
Bilateral Exposures and Systemic Solvency Risk (Expositions Bilatérales Et Risque Systémique Pour La Solvabilité) (2012) (33)
Explosive Bubble Modelling by Noncausal Process (2013) (32)
The informational content of household decisions with applications to insurance under adverse selection (1998) (32)
A Classification of Two-Factor Affine Diffusion Term Structure Models (2005) (31)
Conditionally Fitted Sharpe Performance with an Application to Hedge Fund Rating (2009) (31)
Solutions of multivariate Rational Expectations Models (1995) (30)
Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution (2006) (30)
STOCHASTIC UNIT ROOT MODELS (2006) (29)
On the characterization of a joint probability distribution by conditional distributions (1979) (28)
Detecting a long run relationship (with an application to the p.p.p. hypothesis) (1989) (28)
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations (2002) (28)
Reduced Forms of Rational Expectations Models (1991) (28)
The econometrics of efficient portfolios (2005) (27)
The Wishart Autoregressive of Multivariate Stochastic Volatility (2004) (27)
Quadratic stochastic intensity and prospective mortality tables (2008) (27)
Pricing Default Events: Surprise, Exogeneity and Contagion (2013) (26)
Identification and Estimation in Non-Fundamental Structural VARMA Models (2020) (26)
Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity (2003) (25)
Regime Switching and Bond Pricing (2013) (24)
Intraday transaction price dynamics (2000) (24)
Econometrics of efficient fitted portfolios (1999) (24)
Efficiency in Large Dynamic Panel Models with Common Factor (2009) (24)
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing (2007) (24)
Truncated dynamics and estimation of diffusion equations (2001) (23)
Direct test of the rational expectation hypothesis (1986) (23)
Local Power Properties of Kernel Based Goodness of Fit Tests (2001) (23)
Instrumental models and indirect encompassing (1998) (23)
The Econometrics of Risk Classification in Insurance (1999) (22)
Love and Death: A Freund Model with Frailty (2015) (22)
Discrete time Wishart term structure models (2011) (21)
International Money and Stock Market Contingent Claims (2010) (21)
Sensitivity Analysis of Distortion Risk Measures (2006) (21)
Liquidation equilibrium with seniority and hidden CDO (2013) (20)
Estimation of a Jacobi process (2002) (20)
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes (2015) (20)
The Informational Content of Household Decisions (1997) (20)
The Aggregation of Commodities in Quantity Rationing Models (1985) (19)
Affine Term Structure Models (2002) (19)
Kernel m-estimators: non parametric diagnostics for structural models (1994) (19)
Spread Term Structure and Default Correlation (2003) (19)
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form (1996) (19)
The Tobit Model (2000) (19)
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation (2017) (18)
An efficient nonparametric estimator for models with nonlinear dependence (2007) (18)
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions (2012) (18)
Functional limit theorem for fractional processes (a) (1988) (18)
12 Pseudo-likelihood methods (1993) (18)
Solutions of Dynamic Linear Rational Expectations Models (1985) (17)
Granularity adjustment for risk measures: Systematic vs unsystematic risks (2013) (17)
Survival of Hedge Funds: Frailty vs Contagion (2013) (17)
Diffusion Processes with Polynomial Eigenfunctions (2007) (15)
Revisiting Identification and estimation in Structural VARMA Models (2014) (15)
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective (2011) (15)
Local Likelihood Density Estimation and Value-at-Risk (2010) (15)
Pricing with Splines (2006) (15)
Estimation of the term structure from bond data (1994) (14)
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS (2014) (14)
Shock on Variable or Shock on Distribution with Application to Stress-Tests (2012) (14)
Granularity Theory with Applications to Finance and Insurance (2014) (14)
National Centre of Competence in Research Financial Valuation and Risk Management (2002) (14)
The Effects of Management and Provision Accounts on Hedge Fund Returns (2009) (13)
Beta Risk in the Cross-Section of Equities (2018) (13)
Equidependence in Qualitative and Duration Models with Application to Credit Risk (2002) (13)
Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis (1998) (13)
Time varying Markov process with partially observed aggregate data: An application to coronavirus (2020) (13)
Duration time‐series models with proportional hazard (2007) (13)
Correlated risks vs contagion in stochastic transition models (2013) (13)
Stationary bubble equilibria in rational expectation models (2020) (13)
Microinformation, Nonlinear Filtering and Granularity (2010) (13)
DYNAMIC FACTOR MODELS (2001) (12)
Testing for Common Roots (1989) (12)
Statistics and Econometric Models: Models (1995) (12)
Negative Binomial Autoregressive Process with Stochastic Intensity (2018) (12)
Estimation and Tests (1997) (12)
Value at Risk (2010) (12)
Efficient Portfolio Analysis Using Distortion Risk Measures (2006) (11)
Nonlinear innovations and impulse responses (1999) (11)
A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free (2012) (11)
Causality Between Returns and Trated Volumes (1998) (11)
State‐space Models with Finite Dimensional Dependence (2001) (10)
Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital (2005) (10)
Arbitrage-Based Pricing When Volatility is Stochastic (1996) (10)
Converting Tail-VaR to VaR: An Econometric Study (2012) (10)
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk (2011) (10)
Nonlinear persistence and copersistence (1999) (10)
Positivity Conditions for a Bivariate Autoregressive Volatility Specification (2007) (10)
Granularity in a qualitative factor model (2009) (9)
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE (2013) (9)
Econometric specification of the risk neutral valuation model (2000) (9)
Tails and Extremal Behaviour of Stochastic Unit Root Models (2001) (9)
SIR Model with Stochastic Transmission (2020) (9)
Specification pre-test estimator (1984) (9)
Compound Autoregressive Models (2001) (8)
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment (1980) (8)
Composite indirect inference with application to corporate risks (2017) (8)
Bartlett Identities Tests (1999) (8)
Contagion Analysis in the Banking Sector (2014) (8)
Contagion Phenomena with Applications in Finance (2015) (8)
Efficient Derivative Pricing by Extended Method of Moments (2005) (8)
Misspecification of noncausal order in autoregressive processes (2018) (8)
Kernel Based Nonlinear Canonical Analysis (1999) (7)
Some theoretical results for generalized ridge regression estimators (1984) (7)
Robust analysis of the martingale hypothesis (2019) (7)
General concepts, estimation, prediction, and algorithms (1995) (7)
Prepayment analysis for securitization (1995) (7)
Testing, confidence regions, model selection, and asymptotic theory (1995) (7)
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Regimes (1980) (7)
Migration Correlation: Definition and Consistent Estimation (2005) (6)
An Analysis of the Ultra Long-Term Yields (2011) (6)
Double instrumental variable estimation of interaction models with big data (2017) (6)
Infrequent Extreme Risks (2004) (6)
JFEC invited paper regime switching and bond pricing (2014) (6)
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes (2020) (6)
Consistent pseudo-maximum likelihood estimators (2017) (6)
Semi-Parametric Estimation of Noncausal Vector Autoregression (2015) (6)
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme (2014) (5)
Testing unknown linear restrictions on parameter functions (1985) (5)
Analysis of Virus Propagation: A Transition Model Representation of Stochastic Epidemiological Models (2020) (5)
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects (2019) (5)
Granularity adjustment for default risk factor model with cohorts (2012) (5)
Sustainable Development Fund (2007) (5)
Linear-price term structure models (2013) (5)
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (2019) (5)
NONLINEAR CAUSALITY, with Applications to Liquidity and Stochastic Volatility (2007) (5)
Car And Affine Processes (2008) (4)
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method (1993) (4)
Nonlinear Panel Data Models with Dynamic Heterogeneity (1998) (4)
EQUATION MODELS WITH ENDOGENOUS SWITCHING REGIMES (1980) (4)
DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE (2010) (4)
Convolution‐based filtering and forecasting: An application to WTI crude oil prices (2021) (4)
Pricing with finite dimensional dependence (2015) (4)
Statistical Inference for Independent Component Analysis (2015) (4)
Filtering and Prediction in Noncausal Processes (2014) (4)
Granularity Adjustment in Dynamic Multiple Factor Models : Systematic vs Unsystematic Risks (2010) (4)
Size Distortion in the Analysis of Volatility and Covolatility Effects (2013) (4)
Statistics and Econometric Models: Likelihood Based Tests (1995) (4)
Constrained Nonparametric Copulas (2002) (4)
Unemployment insurance and mortgages (1997) (4)
Disastrous Defaults (2020) (4)
Misspecification of Causal and Noncausal Orders in Autoregressive Processes (2014) (4)
Efficient Nonparametric Estimation of Models with Nonlinear Dependence (2003) (3)
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey (2017) (3)
Multivariate distributions for limited dependent variable models (1994) (3)
Time Series and Dynamic Models: Exponential Smoothing Methods (1996) (3)
Kernel Autocorrelogram for Time Deformed Processes (1998) (3)
The Econometrics of Efficient Frontiers (1998) (3)
Estimation par la méthode du pseudo-maximum de vraisemblance (1983) (3)
Factor ARMA representation of a Markov process (2001) (3)
Speculative Bubbles and Exchange of Information on the Market of a Storable Good (1989) (3)
The Econometrics of Discrete Positive Variables: the Poisson Model (2000) (3)
Truncated Maximum Likelihood and Nonparametric Tail Analysis (1998) (3)
Matching Procedures and Market Characteristics (1998) (3)
Positional Portfolio Management (2018) (3)
Least Impulse Response Estimator for Stress Test Exercises (2018) (3)
BILINEAR TERM STRUCTURE MODEL (2010) (3)
A Flexible State-Space Model with Application to Stochastic Volatility (2016) (2)
Consistent M-estimators in a Semi-parametric model (1), no. 8720 (1987) (2)
Encompassing and indirect inference (1993) (2)
An Econometric Analysis of Household Portfolio Allocation (1997) (2)
Wishart Autoregressive Model for Stochastic Risk (2005) (2)
Some Applications of Univariate ARCH Models (1997) (2)
Control and Out-of-Sample Validation of Dependent Risks (2009) (2)
Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models (2022) (2)
Estimated reproduction ratios in the SIR model (2021) (2)
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme (2014) (2)
Funding Liquidity Risk From a Regulatory Perspective (2014) (2)
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators (1998) (2)
Uncertainty on the Reproduction Ratio in the SIR Model (2020) (2)
Constrained nonparametric dependence with application in finance (2003) (2)
Extended Method of Moments with Applications to Derivative Pricing (2004) (2)
Noncausal Affine Processes with Applications to Derivative Pricing (2019) (2)
Computation of multipliers in multivariate rational expectations models (1991) (2)
The Applicability of the Corner Method: A Reply (1981) (2)
Révision Adaptative des Anticipations et Convergence vers les Anticipations Rationnelles (1982) (2)
Duration, transition and count data models Introduction (1997) (2)
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations (2017) (2)
Introduction to Nonlinear Models (1992) (2)
Linear and Nonlinear Processes (1997) (2)
Portfolio Allocation with Budget and Risk Contribution Restrictions∗ (2012) (2)
Econometric Modelling: Methodologies and Interpretations (1999) (1)
Statistics and Econometric Models 2 volume set (1996) (1)
Time Series and Dynamic Models: Contents (1996) (1)
The Tradability Premium on the S&P 500 Index (2015) (1)
Multiregime Term Structure Models (1997) (1)
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives (2013) (1)
Testing for Endogeneity of Covid-19 Patient Assignments* (2021) (1)
Introduction to the special issue on recent developments in Financial Econometrics (2016) (1)
Univariate ARCH Models (1997) (1)
The Simple Dichotomy (2000) (1)
Required Capital for Long-run Risks (2021) (1)
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model (2013) (1)
Positional Portfolio Management* (2019) (1)
Transition model for coronavirus management (2022) (1)
Linear Factor Models and the Term Structure of Interest Rates (1995) (1)
Granularity Theory with Applications to Finance and Insurance: The Standard Asymptotic Theorems and Their Limitations (2014) (1)
A Degeneracy in the Analysis of Volatility and Covolatility Effects (2006) (1)
Noncausal counting processes: A queuing perspective (2021) (1)
Long Run Risk in Stationary Structural Vector Autoregressive Models (2022) (1)
Econometrics of Qualitative Dependent Variables: Qualitative Panel Data (2000) (1)
Erratum to “Pricing default events: Surprise, exogeneity and contagion” [J. Econometrics 182 (2) (2014) 397–411] (2014) (1)
Comparison of Kernel estimator based goodness of fit tests (a) (1995) (1)
Generalized Covariance Estimator (2021) (1)
Long-Term Care and Longevity (2014) (1)
Model risk management: Valuation and governance of pseudo-models (2020) (1)
The Method of Simulated Moments (MSM) (1997) (1)
Inference for Noisy Long Run Component Process (2010) (1)
Statistics and Econometric Models: Methods of Moments and Their Generalizations (1995) (1)
Reduction and identification of simultaneous equations models with rational expectations (1986) (1)
Ultra Long Run Term Structure Models (2022) (1)
8. Transition Models (2011) (0)
Common Frailty and Contagion in Nonlinear Dynamic Models (2015) (0)
Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods (1997) (0)
Statistics and Econometric Models: Statistical Information: Classical Approach (1995) (0)
Diffusion Processes with Polynominal Eigenfunctions. (2007) (0)
Time Series and Dynamic Models: Introduction (1996) (0)
Inequality Constraints: Estimation and Testing (1995) (0)
Time Series and Dynamic Models: Preface (1996) (0)
Série des Documents de Travail n ° 2013-03 Pricing Default Events : Surprise , Exogeneity and Contagion C . GOURIÉROUX (2013) (0)
Financial Econometrics (2018) (0)
Série des Documents de Travail n ° 2012-03 Shock on Variable or Shock on Distribution with Application to Stress-Tests S . DUBECQ (2012) (0)
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey (2016) (0)
lq-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis (2011) (0)
Simultaneous Equation Systems with Truncated Latent Variables (2000) (0)
7. Endogenous Selection and Partial Observability (2011) (0)
ROBUST ESTIMATION WITH EXPONENTIALLY TILTED (2018) (0)
Multivariate Time Series (1996) (0)
2 A TOOLBOX FOR REGIME SWITCHING TERM STRUCTURE MODELS (2012) (0)
Statistics and Econometric Models: General Asymptotic Tests (1995) (0)
Granularity Theory with Applications to Finance and Insurance: Gaussian Static Factor Models (2014) (0)
Appendix B: Review of Financial Theory (2014) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models Indirect Inference for Dynamic Panel Models (2020) (0)
Applications to Limited Dependent Variable Models (1997) (0)
Structural Dynamic Analysis of Systematic Risk (2016) (0)
Statistics and Econometric Models: Set Estimation and Confidence Regions (1995) (0)
Introduction 1.1 Market Risk and Individual Risk (0)
Estimation Methods and Tests (2000) (0)
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions11The authors gratefully acknowledge financial support of the chair QuantValley/Risk Foundation “Quantitative Management Initiative”. The second author gratefully acknowledges financial support of NSERC Canada. (2015) (0)
Appendix A: Review of Econometrics (2014) (0)
Time Series and Dynamic Models: References (1996) (0)
10. Serial Dependence in Longitudinal Data (2011) (0)
Efficient Portfolios and Hedging Portfolios (1997) (0)
3 – Common Frailty versus Contagion in Linear Dynamic Models (2015) (0)
Factor Models, Diversification and Efficiency (1997) (0)
Estimation and Testing (Stationary Case) (1996) (0)
Identification and consistent estimation of multivariate models with rational expectations (1987) (0)
Time Series and Dynamic Models: The Box and Jenkins Method for Forecasting (1996) (0)
Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and by Eecient Method of Moments (2000) (0)
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood (2022) (0)
Time Series and Dynamic Models: Moving Averages for Seasonal Adjustment (1996) (0)
Temporally Local Maximum Likelihood with Application to SIS Model (2021) (0)
Supplementary Material for 'The Tradability Premium on the S&P 500 Index' (2013) (0)
Composite Indirect Inference with Application (2017) (0)
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables (1986) (0)
Série des Documents de Travail n ° 2015-03 Statistical Inference for Independent Component Analysis (2015) (0)
Contagion and Causality in Static Models (2015) (0)
4. Score Performance (2011) (0)
Spread term structure and and default correlation (2003) (0)
5. Count Data Models (2011) (0)
Contagion in Structural VARMA Models (2015) (0)
Beta Risk in the Cross-section of Stocks and Options (2016) (0)
The Portfolio Composition of Households: A Scoring Analysis from French Data (1997) (0)
Partial Observability of Volatiliy Matrices: Identification and Covolatilities Imputation (2022) (0)
Econometrics of Qualitative Dependent Variables: Introduction (2000) (0)
4. Simultaneity, Recursivity, and Causality Analysis (2002) (0)
Financial Regulations and Procyclicality (2015) (0)
List of Adopted Notations (1996) (0)
Time Series and Dynamic Models: Linear Regression for Seasonal Adjustment (1996) (0)
Econometrics of Qualitative Dependent Variables: Truncated Latent Variables Defined by a System of Simultaneous Equations (2000) (0)
Models of Market Disequilibrium (2000) (0)
Factor Markov Models with Finite Dimensional Dependence (2000) (0)
Performance fees and hedge fund return dynamics (2015) (0)
La régression Ridge (1983) (0)
Statistics and Econometric Models: Bayesian Interpretations of Sufficiency, Ancillarity, and Identification (1995) (0)
Risk Measures: Statistical Estimation (2010) (0)
Time Series and Dynamic Models: Applications of the State-space Model (1996) (0)
An Econometric Panel Data Model of the COVID-19 Pandemic (2022) (0)
Applications to Switching Regime Models (1997) (0)
An Application of Nonlinear Dynamic Models: The Hedge Fund Survival (2015) (0)
Aversions to Impatience, Uncertainty and Illiquidity (2017) (0)
Uniformly Most Powerful Tests (1995) (0)
2 The Intraday Price Process 2 . 1 The Variables (2000) (0)
Econometrics of Qualitative Dependent Variables: Bibliography (2000) (0)
The Dynamics of Hedge Fund Performance (2015) (0)
Some Results on the Univariate Processes (1996) (0)
n ° 2006-17 Efficient Portfolio Analysis Using Distortion Risk Measures (2006) (0)
11. Management of Credit Risk (2011) (0)
Time Series and Dynamic Models: Statistical Properties of Nonstationary Processes (1996) (0)
9. Multiple Scores (2011) (0)
Time Series and Dynamic Models: Trend Components (1996) (0)
Static Qualitative Factor Model (2014) (0)
Functional averages and statistical inference, n. 8724 (1987) (0)
The Log-Linear Model and its Applications (2000) (0)
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices (2014) (0)
The Evaluation of Model Risk for Probability of Default and Expected Loss (2019) (0)
Time Series and Dynamic Models: Causality, Exogeneity, and Shocks (1996) (0)
Winners of the 1990 Tjalling C. Koopmans Econometric Theory Prize (1993) (0)
Multivariate ARCH Models (1997) (0)
Statistics and Econometric Models: Nonnested Models (1995) (0)
Nonlinear Dynamic Panel Data Model (2014) (0)
Diagnosing unemployment: the dual project of the ENSAE’s band (2022) (0)
Noncausal Count Processes (2019) (0)
8. Intertemporal Behavior and the Method of Moments (2002) (0)
Introduction and Motivations (1997) (0)
Statistics and Econometric Models: Maximum Likelihood Estimation (1995) (0)
Applications of Linear Dynamic Models (2015) (0)
Test of the Equilibrium Versus Disequilibrium Hypothesis : a Comment (1980) (0)
Review of Linear Algebra and Matrix Calculus (1995) (0)
Nonlinear Persistence and (2005) (0)
Estimation Under Equality Constraints (1995) (0)
Statistics and Econometric Models: Unbiased Tests and Invariant Tests (1995) (0)
Applications to Financial Series (1997) (0)
Time Series and Dynamic Models: State-space Models and the Kalman Filter (1996) (0)
Migration Correlation: Estimation Method and Application to French Corporates Ratings (2006) (0)
On the backward-forward procedure (1980) (0)
Statistical Problems and Decision Theory (1995) (0)
Chapter 4 Pricing with Wishart Risk Factors (2007) (0)
Prediction and Basket Derivative Pricing (2014) (0)
Statistics and Econometric Models: Elements of Estimation Theory (1995) (0)
Granularity Theory with Applications to Finance and Insurance: Granularity for Risk Measures (2014) (0)
Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models (2017) (0)
Introduction to Tests of Hypotheses (1995) (0)
2. Dichotomous Risk (2011) (0)
Time-series Representations (1996) (0)
Identiication Problem in Nonlinear Cointegration (2000) (0)
Dynamic deconvolution and identification of independent autoregressive sources (2022) (0)
APPLICATIONS OF THE KALMAN FILTER Macroeconomic applications : stochastic linear models, structural models, unobserved components ARMA models, stochastic trend models, coincident index models Financial applications : VaR modeling,factor multivariate GARCH models, stochastic volatility models. (1997) (0)
The Double Default Value-of-the-Firm Model (2016) (0)
Statistics and Econometric Models: Review of Probability (1995) (0)

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